User menu

Accès à distance ? S'identifier sur le proxy UCLouvain

All Publications

Displaying 10 results.
    • Journal article
    Portfolio insurance under rough volatility and Volterra processes
    Dupret, Jean-Loup[UCL] Hainaut, Donatien[UCL] (2021) International Journal of Theoretical and Applied Finance — Vol. 24, no. 6-7, p. 2150036 (2021)
    • WorkingPaper
    Optimal liquidation under indirect price impact with propagator
    Dupret, Jean-Loup[UCL] Hainaut, Donatien[UCL] (2023)
    • WorkingPaper
    A fractional Hawkes process for illiquidity modeling
    Dupret, Jean-Loup[UCL] Hainaut, Donatien[UCL] (2023)
    • WorkingPaper
    Impact of rough stochastic volatility models on long-term life insurance pricing
    Dupret, Jean-Loup[UCL] Barbarin, Jérôme[UCL] Hainaut, Donatien[UCL] (2021)
    • WorkingPaper
    A subdiffusive stochastic volatility jump model
    Dupret, Jean-Loup[UCL] Hainaut, Donatien[UCL] (2022)
    • Dissertation
    A random walk in illiquidity modeling : rough volatility, subdiffusions, fractional Hawkes, optimal liquidation and deep learning
    Dupret, Jean-Loup[UCL] (2024)
    • Journal article
    Impact of rough stochastic volatility models on long-term life insurance pricing
    Dupret, Jean-Loup[UCL] Barbarin, Jérôme[UCL] Hainaut, Donatien[UCL] (2023) European Actuarial Journal — Vol. 13, no. 1, p. 235-275 (2023)
    • WorkingPaper
    Deep learning for high-dimensional continuous-time stochastic optimal control without explicit solution
    Dupret, Jean-Loup[UCL] Hainaut, Donatien[UCL] (2024)
    • WorkingPaper
    Portfolio insurance under rough volatility and Volterra processes
    Dupret, Jean-Loup[UCL] Hainaut, Donatien[UCL] (2021)
    • Journal article
    A fractional Hawkes process for illiquidity modeling
    Dupret, Jean-Loup[UCL] Hainaut, Donatien[UCL] (2024) Mathematics and Financial Economics — (2024)